An empirical portfolio perspective on option pricing anomalies

Keyphrases

• Option Pricing 100%
• Portfolio Perspective 100%
• Pricing Anomalies 100%
• Anticipated Utility 100%
• Selling 50%
• Transaction Costs 50%
• Expected Utility 50%
• Non-expected Utility 50%
• Portfolio Weights 50%
• Index Options 50%
• Economic Benefits 50%
• Cumulative Prospect Theory 50%
• Loss-averse 50%
• Portfolio Problem 50%
• Requirements Problem 50%
• Peso Problem 50%
• Distorted Probabilities 50%
• Probability Assessment 50%
• Margin Requirements 50%
• S&P 500 Index Options 50%

Economics, Econometrics and Finance

• Investors 100%
• Pricing 100%
• Transaction Costs 25%
• Prospect Theory 25%
• Portfolio Weight 25%